The PowerShares S&P 500 BuyWrite ETF (PBP) and iPath CBOE S&P 500 Buy/Write Index ETN (BWV) both seek to track the BXM Index.  Each advertises a 0.75% expense ratio/annual fee.  The BXM Index reports an “18 years [history], generating a return comparable to that of the S&P 500 with approximately two-thirds of the risk”.  Should the next 18 years be similar, the compound annual growth rate would be roughly 11.77%-0.75% (11.02%) vs an S&P 500 return (via SPY) of 11.67%-0.06 (11.60%) with .6688 relative deviation.  So, all things equal over 18 years, SPY would have a better return with a higher volatility.  With 3-month T-Bills providing returns of jack & squat (about 13 basis points), PBP and BWV would be expected to provide superior Treynor ratios.

The 75-basis-point expense ratios are tolerable, but still a bit high for essentially-passive funds.  I have a bias towards EFTs over ETNs (because ETFs have a much lower counter-party risk.) and may consider buying some PBP shares for the Sigma1 Fund… if NAVs sufficiently exceed prices. Currently Sigma1′s annualized annualized trading expenses to emulate BXM have ranged from 10 to 55 basis points so the possibility to short PBP and/or BWV also exists.